The 1 caveat to that would be using a WIDELY TRUSTED on-line exchange that you have an account with. While 'still not your keys' it is the only on-line kind of site I would ever use.
There is no such thing as a "trusted centralized exchange" let alone a widely trusted CEX. There are only CEX that have not yet been hacked or scammed. There is no logical reason to use one when you want to create a bitcoin address! Their only usage is for traders.